Dirk Bracke - Straks doet het geen pijn meer (the father of the main character, who has also raped her (incest), has killed himself in ront of her :/)
Roger McDonald's 1915... ends with the protagonist's main character carted off to the loony bin when all it really is is just shellshock. Sad ending, it's about the First World War and Australia. Charles Dickens' A Tale of Two Cities. While it's not really a sad ending, it gets a special mention here. A distraught English barrister saves a French aristocrat from the hands of the Revolution, and in the process has his head cut off by La Guillotine.
In Homer's Illiad, a classic tragedy, Hector dies by Achilles' sword and gets his corpse dragged down near the walls of Troy. Achilles wanted revenge for losing his long time friend, Patroclus,who also fought in the war over some clumsy broad King Agememnon loves. And both sides mourned for their losses in the war...BoooOOOhhhOOOO-----boohoo! Gotta love the classics.
I'd have to say the saddest ending was in Clan of the Cave Bear. Actually. That other post was a lie.